Much of the liquidity is hidden and not available electronically. Most hedge funds that trade options have somebody on the floor. Believe it or not having this connection can get you filled faster than via an electronic platform.

I am not familiar with the term "taking the natural". I looked it up on the internet but did not find anything.

Could you, or someone, explain what that means?

Thank you.

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As MushinSeeker said, buying the offer and selling the bid, but I'll expound a bit.

Options traders, specifically those trading highly liquid options such as SPY, get in a habit of getting filled at the mid. This happens so frequently that they start to expect it and treat the mid as if that is the actual market price of the option. But just like any other security there is no single market price, there are always two market prices, the bid and offer. If you are wanting to buy, then the true market price is the offer, and it is the bid if you wish to sell. You then say, "the spread is @ 0.55 and my .30 isn't getting filled. That is because both of them are inside the natural. For that spread, if the mid is at 0.55, the natural is probably something like 0.20 bid and 0.80 offer.

Frequently you hear about slippage. If you are always getting filled (round trip) at the mid and the price didn't move against you to get you filled, then there is no slippage. But you cannot always get filled at the mid, so you end up having slippage either when you open the position or close it. Taking the natural both ways means that you must overcome a huge amount of slippage to overcome the inherent negative expectancy of the trade.

Futures traders just accept the fact that they almost always have to take the natural. But spreads are tight, so slippage is minimal as compared to options.